I really wouldn't be using clay. It's heavy and really won't stick well regardless of what you try. You'd be better off shaping it out of something like sintra, or the cheaper alternative of craft foam.
I don't know how much the skates will really need to flex, as you don't exactly bend your feet in them, but look at something like Shoe Goo or E6000.

So just wrap sintra or craft foam around the existing metal support structure? I still think the green ovals should be clay to get them to protrude out from the shoe.

Also, there will probably be no flex whatsoever, at least on that part of the skate but I'll look into those. I know I've heard of E6000.